Crack egg into a small bowl, and scramble. Slowly add in some of the hot liquid from the rice mixture one tablespoon at a time, whisking throughout. Once you add approx 1/2 - 1 cup of the hot liquid to egg, slowly add the egg mixture back to the main pot, whisking throughout. These steps are crucial to ensure that you do not end up with chunks of scrambled egg in your pudding when cold egg meets hot rice. Continue to simmer the pudding in your medium saucepan for an additional 2 minutes.

Remove from heat and stir in vanilla. Pour pudding into bowl and sprinkle with toasted coconut if you're feeling fancy. Loosely cover, and refrigerate to allow pudding to thicken further.